Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
Lewis and Mordecki have computed the Wiener–Hopf factorization of a Lévy process whose restriction of the Lévy measure on ]0,+∞[ has a rational Laplace transform. This allowed them to compute the distribution of (Xt,inf0≤s≤tXs). For the same class of Lévy processes, we compute the distribution of (Xt,inf0≤s≤tXs,sup0≤s≤tXs) and also the behavior of this triple at certain stopping times, such as the time of first exit of an interval containing the origin. Some applications to the pricing of double-barrier options with or without rebate are described.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 122 (2012)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chaumont, L. & Kyprianou, A.E. & Pardo, J.C., 2009. "Some explicit identities associated with positive self-similar Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 980-1000, March.
- Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:3:p:1034-1067. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.